McKay originally auditioned for Saturday Night Live to be an onscreen performer, but did not make the cut. However, the scripts he submitted to the long-running sketch show earned him a job as writer from 1995 to 2001, including three seasons as head writer. He also directed a number of short films for the show, including the original SNL Digital Shorts. McKay encouraged his Second City friend Tina Fey to submit some of her scripts to Saturday Night Live, and she later succeeded him as head writer on the show. Though McKay was never an actual SNL cast member, he did make several on-camera appearances over the years and had a recurring role as an obnoxious audience member named "Keith" who would often shout insults at the celebrity hosts during their opening monologue.

He also produced the film Tammy. On 30 May 2014 he was in talks to direct Ant-Man for Marvel Studios after Edgar Wright left the film, but pulled out the next day. On June 7th 2014 he was announced by Marvel, that he is re-writing the script, with Peyton Reed directing.